IV, GMM or likelihood approach to estimate dynamic panel models when either N or T or both are large

DOI10.1016/J.JECONOM.2015.01.008MaRDI QIDQ494404zbMATH OpenOpenAlexFDO

Authors Junwei Zhang, Cheng Hsiao

Publication date 1 September 2015

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2015.01.008

zbMATH Keywords

asymptotic biasGMMIVlarge \(N, T\)MLE

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cites work

• Another look at the instrumental variable estimation of error-components models
• Asymptotically Unbiased Inference for a Dynamic Panel Model with Fixed Effects when Both n and T Are Large
• Estimating Dynamic Random Effects Models from Panel Data Covering Short Time Periods
• ESTIMATION AND INFERENCE IN SHORT PANEL VECTOR AUTOREGRESSIONS WITH UNIT ROOTS AND COINTEGRATION
• Estimation of Dynamic Models with Error Components
• Estimation of dynamic panel data models with both individual and time-specific effects
• Formulation and estimation of dynamic models using panel data
• scientific article; zbMATH DE number 3357844 (Why is no real title available?)
• Linear Regression Limit Theory for Nonstationary Panel Data
• Linear Statistical Inference and its Applications
• Maximum likelihood estimation of fixed effects dynamic panel data models covering short time periods
• Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations
• The analytic inversion of any finite symmetric tridiagonal matrix
• The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators

Cited in

(19)

• Panel models with interactive effects
• Incidental parameters, initial conditions and sample size in statistical inference for dynamic panel data models
• Asymptotic distribution of misspecified random effects estimator for a dynamic panel model with fixed effects when both n and T are large
• Many IVs estimation of dynamic panel regression models with measurement error
• Quasi-maximum likelihood estimators for spatial dynamic panel data with fixed effects when both n and T are large
• A SIMPLE EFFICIENT INSTRUMENTAL VARIABLE ESTIMATOR FOR PANEL AR(p) MODELS WHEN BOTHNANDTARE LARGE
• Dynamic panels with threshold effect and endogeneity
• Jive for panel dynamic simultaneous equations models
• On estimation of two-dimensional dynamic panel model with confounders
• Asymptotic distribution of quasi-maximum likelihood estimation of dynamic panels using long difference transformation when both \(N\) and \(T\) are large
• The asymptotic properties of the system GMM estimator in dynamic panel data models when both N and T are large
• The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators
• Asymptotically Unbiased Inference for a Dynamic Panel Model with Fixed Effects when Both n and T Are Large
• Estimation of fixed effects dynamic panel data models: linear differencing or conditional expectation
• First difference or forward demeaning: Implications for the method of moments estimators
• An augmented Anderson–Hsiao estimator for dynamic short-T panels^†
• Some properties of the LIML estimator in a dynamic panel structural equation
• A three-way dynamic panel threshold regression model for change point detection in bioimpedance data
• Statistical inference for panel dynamic simultaneous equations models

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